Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0369 |
| Annualized Std Dev | 0.2928 |
| Annualized Sharpe (Rf=0%) | -0.1260 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3624.0000 |
| NAs | 1.0000 |
| Minimum | -0.1320 |
| Quartile 1 | -0.0060 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1838 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0184 |
| Skewness | -0.2486 |
| Kurtosis | 12.9489 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0136 |
| Gain Deviation | 0.0135 |
| Loss Deviation | 0.0160 |
| Downside Deviation (MAR=210%) | 0.0178 |
| Downside Deviation (Rf=0%) | 0.0136 |
| Downside Deviation (0%) | 0.0136 |
| Maximum Drawdown | 0.8708 |
| Historical VaR (95%) | -0.0276 |
| Historical ES (95%) | -0.0478 |
| Modified VaR (95%) | -0.0268 |
| Modified ES (95%) | -0.0362 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.8708 | 3474 | 444 | NA |
| 2007-02-23 | 2007-03-05 | 2007-04-17 | -0.0783 | 37 | 7 | 30 |
| 2007-01-04 | 2007-01-22 | 2007-02-01 | -0.0213 | 20 | 12 | 8 |
| 2006-11-01 | 2006-11-02 | 2006-11-08 | -0.0211 | 6 | 2 | 4 |
| 2006-11-24 | 2006-11-27 | 2006-12-04 | -0.0199 | 7 | 2 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.8 | -0.6 | -0.6 | -2.9 |
| 2007 | 1.1 | -0.3 | -0.6 | 0.1 | 0.8 | -0.9 | -1.7 | 1.4 | 1.3 | -3.7 | 1.2 | -1.7 | -3 |
| 2008 | 2.7 | -3.1 | 1.6 | 3 | 0 | -1.9 | -1 | -1.1 | -2.8 | 2 | -13.2 | 6.7 | -8 |
| 2009 | -5.5 | -2.7 | 4.8 | 4.2 | 3.3 | 1.8 | 0.1 | -4.5 | -3.6 | -3.4 | 1.5 | -0.7 | -5.3 |
| 2010 | 1.3 | 0.9 | 1.2 | -1.3 | -1.7 | 1 | -0.5 | 3.8 | 0.8 | -0.4 | 2.7 | 0.4 | 8.4 |
| 2011 | 2.1 | -1.7 | 0.5 | 0.4 | -2.3 | 1.5 | -0.2 | -1.9 | -3.1 | -4.8 | 0.1 | 0.4 | -8.7 |
| 2012 | 1.6 | 0.7 | 0.4 | 0.5 | -1.9 | 3.2 | -0.2 | 0.8 | 0.5 | 1.3 | 0.8 | 2.1 | 10.2 |
| 2013 | 0.6 | -0.2 | -0.8 | -1.1 | -1.6 | 0.6 | 0.8 | -0.6 | 1 | -0.7 | 0.6 | 0.7 | -0.7 |
| 2014 | -2.1 | 1.1 | 0.5 | 0.2 | -0.2 | 0.5 | -0.7 | 0 | -1.3 | 1.1 | -1.1 | -0.3 | -2.3 |
| 2015 | -1 | -0.3 | 0.8 | 0.4 | 0 | 0.4 | 0.3 | -3 | 0.8 | -0.1 | 0.2 | -0.4 | -1.8 |
| 2016 | 0.5 | 2.5 | 0.4 | -0.3 | 0.1 | 0.7 | -0.8 | 0.8 | 0.5 | -0.6 | 0.6 | 0.5 | 5.1 |
| 2017 | 0.6 | 1 | 0.3 | 0.2 | 1.4 | 0.3 | 0.3 | 0.3 | 0.7 | -0.5 | -0.2 | 0.1 | 4.7 |
| 2018 | 0.7 | -1 | 0.4 | -0.8 | 1.2 | 1.4 | -0.2 | -0.3 | 0.3 | 2.1 | -0.8 | -0.5 | 2.4 |
| 2019 | 0.3 | 0.3 | 1.3 | -0.5 | -1.4 | 0.7 | -0.8 | 0.3 | -1.6 | 1.2 | -0.4 | 0.6 | -0.2 |
| 2020 | -0.6 | -1.4 | -4.4 | -3.4 | 2.1 | 0.5 | -0.7 | 0.1 | 1.6 | -0.1 | 2.6 | 0.1 | -3.9 |
| 2021 | 2.4 | 2.5 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-10-24 25.1 SPY 138. 0.003 0.0108 0.0408 0.0871 0.149 0.334 0.266 GLD 58.2 0.0071 -0.0082
2 2006-10-25 25.3 SPY 138. 0.0034 0.0129 0.0357 0.0919 0.156 0.336 0.274 GLD 58.8 0.0101 0.00290
3 2006-10-26 25.6 SPY 139. 0.0031 0.0144 0.0377 0.0844 0.163 0.339 0.255 GLD 59.3 0.009 -0.002
4 2006-10-27 25.4 SPY 138. -0.0063 0.0078 0.0316 0.0787 0.168 0.313 0.250 GLD 59.4 0.0019 0.0105
5 2006-10-30 25.6 SPY 138. -0.0007 0.0025 0.0317 0.0832 0.150 0.310 0.283 GLD 59.9 0.0084 0.037
6 2006-10-31 25.6 SPY 138. -0.0001 -0.0007 0.0354 0.0758 0.147 0.307 0.298 GLD 60.2 0.0057 0.0356
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
